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La parité des pouvoirs d’achat pour l’économie chinoise: une nouvelle analyse par les tests de racine unitaire*

Published online by Cambridge University Press:  17 August 2016

Olivier Darné  and
Jean-François Hoarau
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Abstract

In this paper we re-examine whether purchasing power parity holds in the long run in China from a two-steps procedure correcting outliers and testing unit roots. Thus, the efficient unit root tests developed by Elliott, Rothenberg and Stock (1996) and Ng and Perron (2001) are applied on the Renminbi bilateral (to the US dollar) real exchange rate, corrected from outliers, over the period 1970 to 2006 (in monthly frequency). We underlined the effects of large, but infrequent shocks due to changes of Chinese exchange policy undertaken since the China’s foreign exchange reform on the real exchange rate, in particular several devaluations between 1984-1994. We also show that there is no tendency to the purchasing power parity in China to hold in the long run during this period.

Résumé:

Résumé:

Dans cet article, nous proposons de poursuivre les investigations en matière de parité des pouvoirs d’achat dans le cadre de l’économie chinoise en employant une procédure en deux étapes basée sur des tests de racine unitaire et prenant en compte la présence de points atypiques dans les données. Ainsi, les tests efficients de racine unitaire développés par Elliott, Rothenberg et Stock (1996) et Ng et Perron (2001) sont appliqués sur le taux de change réel du Renminbi, pris dans sa version bilatérale par rapport au Dollar US, sur la période 1970-2006 (en fréquence mensuelle) corrigé de la présence de points atypiques. Les résultats indiquent que les nombreux points atypiques détectés dans la série de taux de change réel du Renminbi sont dus à l’instabilité de la politique de change chinoise et aux différentes vagues de dévaluations qui lui sont associées sur la période 1984-1994. Ce travail nous permet également de statuer sur la non stationnarité du taux de change réel chinois et donc sur l’invalidité de la parité des pouvoirs d’achat à long terme.

Keywords

purchasing power parityreal exchange rateRenminbiunit root testsoutliersC22F31parité des pouvoirs d’achattaux de change réelRenminbitests de racine unitaire, points atypiquesC22F31
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 74 , Issue 2 , 2008 , pp. 219 - 236
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2008 

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Footnotes

*

Nous tenons à remercier le rapporteur anonyme pour ses remarques et commentaires.

**

EconomiX, Université Paris X-Nanterre.

***

Correspondance: Jean-François Hoarau, CERESUR, Université de La Réunion, Faculté de Droit et d’Économie, 15 Avenue René Cassin, BP 7151,97715 Saint Denis Mess cedex 9, France. Tél.:+33-2-62-93-84-43; fax: +33-2-62-93-84-72. Email: jfhoarau@univ-reunion.fr.

References

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